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Decomposing the persistence structure of Islamic and green crypto-currencies with nonlinear stepwise filtering

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  • Lahmiri, Salim
  • Bekiros, Stelios

Abstract

The multi-fractal chaotic dynamics of Islamic and Green crypto-currency series are investigated for the first time in econophysics literature. Specifically, we decompose and analyse the temporal signals of prices, returns, volume and volatility of Islamic and Green cryptos vis-à-vis conventional ones in a comparative manner. We introduce a multi-step resolution approach based on detrended fluctuation analysis, Generalized Hurst and Lyapunov exponents as well as fractionally integrated conditional heteroskedasticity. Moreover, various tests are employed to investigate the statistical significance of any (dis)similarities of long memory patterns, multi-fractality measures and chaotic dynamics observed among Islamic, Green and conventional crypto-currency markets. Our findings suggest that while the returns of Islamic and green crypto-currencies exhibit anti-persistent dynamics, their price, volatility and volume series embed high persistence compared to the conventional crypto-currencies. Further statistical testing indicates that the distributions of the chaotic parameter estimates are significantly different versus common crypto-currencies, a fact that reveals heterogeneity in multi-fractality and long memory patterns. As the Islamic and Green cryptos exhibit a distinct and more profound chaotic behaviour compared to conventional ones, their short-term predictability could further induce financial agents.

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  • Lahmiri, Salim & Bekiros, Stelios, 2019. "Decomposing the persistence structure of Islamic and green crypto-currencies with nonlinear stepwise filtering," Chaos, Solitons & Fractals, Elsevier, vol. 127(C), pages 334-341.
    • Handle: RePEc:eee:chsofr:v:127:y:2019:i:c:p:334-341
    DOI: 10.1016/j.chaos.2019.07.012
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    5. Wei Sun & Alisher Tohirovich Dedahanov & Ho Young Shin & Ki Su Kim, 2020. "Switching intention to crypto-currency market: Factors predisposing some individuals to risky investment," PLOS ONE, Public Library of Science, vol. 15(6), pages 1-16, June.
    6. Sun, Wei & Dedahanov, Alisher Tohirovich & Shin, Ho Young & Li, Wei Ping, 2021. "Factors affecting institutional investors to add crypto-currency to asset portfolios," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    7. Yousaf, Imran & Yarovaya, Larisa, 2022. "Spillovers between the Islamic gold-backed cryptocurrencies and equity markets during the COVID-19: A sectorial analysis," Pacific-Basin Finance Journal, Elsevier, vol. 71(C).
    8. Ali, Fahad & Bouri, Elie & Naifar, Nader & Shahzad, Syed Jawad Hussain & AlAhmad, Mohammad, 2022. "An examination of whether gold-backed Islamic cryptocurrencies are safe havens for international Islamic equity markets," Research in International Business and Finance, Elsevier, vol. 63(C).
    9. Alves, P.R.L., 2020. "Dynamic characteristic of Bitcoin cryptocurrency in the reconstruction scheme," Chaos, Solitons & Fractals, Elsevier, vol. 134(C).

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